Examining the market linkage between the US stock market and the oil market: A multivariate GARCH approach
In this study the relationship between the US stock market and the oil market is examined in terms of volatility and co-volatility. A multivariateGARCH approach is therefore applied by using an asymmetric BEKK model on daily returns which cover the period from 1 January 2002 to 31 December 2008. The linkage between the markets is further explored with the creation of news impact surfaces for the c